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<div class="iris_headline">IRIS Toolbox Reference Manual</div>



<h1 id="VAR/Contents">Vector Autoregressions (VAR Objects)</h1>


<p>VAR objects can be constructed as plain VARs or simple panel VARs (with fixed effect), and estimated without or with prior dummy observations (quasi-bayesian VARs). VAR objects are reduced-form models; they are also the point of departure for identifying structural VARs (<a href="../SVAR/Contents.html"><code>SVAR</code></a> objects).</p>
<p>VAR methods:</p>
<h4 id="constructor">Constructor</h4>
<ul>
<li><a href="../VAR/VAR.html"><code>VAR</code></a> - Create new empty reduced-form VAR object.</li>
</ul>
<h4 id="getting-information-about-var-objects">Getting information about VAR objects</h4>
<ul>
<li><a href="../VAR/addparam.html"><code>addparam</code></a> - Add VAR parameters to a database (struct).</li>
<li><a href="../VAR/comment.html"><code>comment</code></a> - Get or set user comments in an IRIS object.</li>
<li><a href="../VAR/companion.html"><code>companion</code></a> - Matrices of first-order companion VAR.</li>
<li><a href="../VAR/eig.html"><code>eig</code></a> - Eigenvalues of a VAR process.</li>
<li><a href="../VAR/fprintf.html"><code>fprintf</code></a> - Write VAR model as formatted model code to text file.</li>
<li><a href="../VAR/get.html"><code>get</code></a> - Query VAR object properties.</li>
<li><a href="../VAR/iscompatible.html"><code>iscompatible</code></a> - True if two VAR objects can occur together on the LHS and RHS in an assignment.</li>
<li><a href="../VAR/isexplosive.html"><code>isexplosive</code></a> - True if any eigenvalue is outside unit circle.</li>
<li><a href="../VAR/ispanel.html"><code>ispanel</code></a> - True for panel VAR objects.</li>
<li><a href="../VAR/isstationary.html"><code>isstationary</code></a> - True if all eigenvalues are within unit circle.</li>
<li><a href="../VAR/length.html"><code>length</code></a> - Number of alternative parameterisations in VAR object.</li>
<li><a href="../VAR/mean.html"><code>mean</code></a> - Mean of VAR process.</li>
<li><a href="../VAR/nfitted.html"><code>nfitted</code></a> - Number of data points fitted in VAR estimation.</li>
<li><a href="../VAR/rngcmp.html"><code>rngcmp</code></a> - True if two VAR objects have been estimated using the same dates.</li>
<li><a href="../VAR/sprintf.html"><code>sprintf</code></a> - Print VAR model as formatted model code.</li>
<li><a href="../VAR/sspace.html"><code>sspace</code></a> - Quasi-triangular state-space representation of VAR.</li>
<li><a href="../VAR/userdata.html"><code>userdata</code></a> - Get or set user data in an IRIS object.</li>
</ul>
<h4 id="referencing-var-objects">Referencing VAR objects</h4>
<ul>
<li><a href="../VAR/group.html"><code>group</code></a> - Retrieve VAR object from panel VAR for specified group of data.</li>
<li><a href="../VAR/subsasgn.html"><code>subsasgn</code></a> - Subscripted assignment for VAR objects.</li>
<li><a href="../VAR/subsref.html"><code>subsref</code></a> - Subscripted reference for VAR objects.</li>
</ul>
<h4 id="simulation-forecasting-and-filtering">Simulation, forecasting and filtering</h4>
<ul>
<li><a href="../VAR/ferf.html"><code>ferf</code></a> - Forecast error response function.</li>
<li><a href="../VAR/filter.html"><code>filter</code></a> - Filter data using a VAR model.</li>
<li><a href="../VAR/forecast.html"><code>forecast</code></a> - Unconditional or conditional VAR forecasts.</li>
<li><a href="../VAR/instrument.html"><code>instrument</code></a> - Define forecast conditioning instruments in VAR models.</li>
<li><a href="../VAR/resample.html"><code>resample</code></a> - Resample from a VAR object.</li>
<li><a href="../VAR/simulate.html"><code>simulate</code></a> - Simulate VAR model.</li>
</ul>
<h4 id="manipulating-vars">Manipulating VARs</h4>
<ul>
<li><a href="../VAR/assign.html"><code>assign</code></a> - Manually assign system matrices to VAR object.</li>
<li><a href="../VAR/alter.html"><code>alter</code></a> - Expand or reduce the number of alternative parameterisations within a VAR object.</li>
<li><a href="../VAR/backward.html"><code>backward</code></a> - Backward VAR process.</li>
<li><a href="../VAR/demean.html"><code>demean</code></a> - Remove constant and the effect of exogenous inputs from VAR object.</li>
<li><a href="../VAR/horzcat.html"><code>horzcat</code></a> - Combine two compatible VAR objects in one object with multiple parameterisations.</li>
<li><a href="../VAR/integrate.html"><code>integrate</code></a> - Integrate VAR process and data associated with it.</li>
<li><a href="../VAR/xasymptote.html"><code>xasymptote</code></a> - Set or get asymptotic assumptions for exogenous inputs.</li>
</ul>
<h4 id="stochastic-properties">Stochastic properties</h4>
<ul>
<li><a href="../VAR/acf.html"><code>acf</code></a> - Autocovariance and autocorrelation functions for VAR variables.</li>
<li><a href="../VAR/fmse.html"><code>fmse</code></a> - Forecast mean square error matrices.</li>
<li><a href="../VAR/vma.html"><code>vma</code></a> - Matrices describing the VMA representation of a VAR process.</li>
<li><a href="../VAR/xsf.html"><code>xsf</code></a> - Power spectrum and spectral density functions for VAR variables.</li>
</ul>
<h4 id="estimation-identification-and-statistical-tests">Estimation, identification, and statistical tests</h4>
<ul>
<li><a href="../VAR/estimate.html"><code>estimate</code></a> - Estimate a reduced-form VAR or BVAR.</li>
<li><a href="../VAR/infocrit.html"><code>infocrit</code></a> - Populate information criteria for a parameterised VAR.</li>
<li><a href="../VAR/lrtest.html"><code>lrtest</code></a> - Likelihood ratio test for VAR models.</li>
<li><a href="../VAR/portest.html"><code>portest</code></a> - Portmanteau test for autocorrelation in VAR residuals.</li>
<li><a href="../VAR/schur.html"><code>schur</code></a> - Compute and store triangular representation of VAR.</li>
</ul>
<h4 id="getting-on-line-help-on-var-functions">Getting on-line help on VAR functions</h4>
<pre><code>help VAR
help VAR/function_name</code></pre>
<p>Reference page for VAR</p>

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